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If bid price is 100$ and Ask price is 101$, and the trade happens at 101 $, can I conclude that the buying pressure is more than the selling?

If the trade happens on above average volume, (e.g more than 5 times the average volume of a transaction), is it safe to say that the next trade will take place at a higher price, since the immediate trend is bullish?

I understand of course that if bid and ask spread is too low, then this conclusion is not valid.

  • How can the trade happen at an intermediate price? Are you saying there are hidden orders on the exchange, or are you talking about sending an order through a retail broker (who is apparently stealing $0.095 from you)? – dg99 Mar 25 '14 at 15:46
  • It's impossible to say what the next trade price will be. The minute-to-minute price fluctuations are unpredictable. – Bruce Alderman Mar 25 '14 at 16:32
  • @dg99: Sorry, kindly see EDIT – Victor123 Mar 25 '14 at 16:32
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  1. No, you can't conclude anything about buying vs. selling pressure from a single trade. However, buy and sell pressures are straightforward to compute on your own by monitoring the exchange's order publications. Excepting for hidden orders, you can always know the prices and total quantities of resting buy and sell orders on the exchange. (Of course, your information will almost certainly be at least several seconds out-of-date relative to that of the major market players, whose machines are located right next to the exchanges.)

  2. There is probably some (very) slight correlation between the existence of a large trade in one direction and the sign of the price change for some future trades. However, you almost certainly won't be able to take advantage of this information (if there even is any advantage to be taken) because faster market participants will have already reacted (some wisely, some unwisely) by the time you find out about the trade in question.

One moral is that profiting off of ephemeral bits of information in the market is essentially impossible for small traders. But the larger moral is to question why you want to do so. The amount of money one can make by timing the market on a millisecond-by-millisecond basis is so small that it only pays to do so if you have vast sums of money to invest.

  • Thanks. Can you kindly tell me how to get :'exchange's order publications'? Is it free? – Victor123 Mar 25 '14 at 17:22
  • It is definitely not free. If you're using a broker's electronic trading platform, then they should already subscribe to these exchange publications for you and present you with the current status of the exchange's orders at any point in time. Access to that information (and historical versions of that information) is one of the things you're paying for when you sign up with such a broker. If you're just trying to do this on your own, I have no idea how to get an exchange's real-time data. You probably have to pay them tens of thousands of dollars per year. – dg99 Mar 25 '14 at 17:30
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Yes, at that precise moment, the trend is bullish, but considering the random walk theory, the next price is just as random as before.

There are many days where the entire volume is at a higher or lower price, and at the end of the day, course is reversed on low volume. This can be seen when an attempted market manipulator gives up or runs out of capital, stops trading, and the market immediately starts to revert to the mean on lesser volume.

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